AAPL Options History — September 2014 In September 2014, AAPL traded between $24.47 and $25.82. ATM implied volatility averaged 25.1%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.3% (HV 20d: 21.8%). Max pain ranged from $23.21 to $23.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2014-09-09 : Highest Volume — 11,863,748 contracts2014-09-03 : Largest IV spike — 26.0% change2014-09-03 : Highest IV Rank — 68.6%2014-09-16 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.14 $24.47 $25.82 $25.82 $25.19 Max Pain $23.33 $23.21 $23.57 $23.21 $23.57 ATM IV 25.1% 21.1% 30.3% 24.0% 27.2% Expected Move 7.2% 7.0% 7.4% 7.1% 7.1% HV 20d 21.8% 10.2% 28.0% 10.2% 28.0% HV 60d 18.1% 15.1% 20.7% 15.1% 20.3% IV Rank 41.2% 20.0% 68.6% 35.5% 52.5% IV Percentile 58.5% 34.1% 81.7% 53.6% 73.8% Term Structure 1.1% -1.7% 5.7% -0.8% -0.5% VWIV 25.4% 24.6% 26.1% 24.9% 24.8% Skew 25d 1.4% 0.4% 3.8% 0.4% 2.3% Skew 10d 2.5% 1.0% 4.8% 1.4% 3.6% Call IV 25d 24.6% 20.7% 30.0% 24.0% 25.9% Put IV 25d 26.0% 21.9% 31.0% 24.4% 28.2% Bid-Ask Spread % 7.52 6.26 8.79 6.26 6.27 Gamma HHI 0.08 0.05 0.09 0.08 0.08 Net GEX 995.3M 514.7M 1.41B 1.04B 1.03B Net DEX -29.94B -37.30B -20.18B -37.30B -29.47B Net VEX -123.6M -132.7M -116.5M -116.6M -117.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.40 0.73 0.43 0.52 Total Volume 4,750,861.714 2,333,000 11,863,748 4,128,672 3,643,596 Total OI 45,511,635.81 42,781,468 48,637,324 42,781,468 44,709,064
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-09-02 $25.82 $23.21 24.0% 7.1% 10.2% 35.5% 24.9% 0.4% -0.8% 1.04B -37.30B -116.6M 0.43 6.26 N/A N/A 2,888,300 1,240,372 25,070,428 17,711,040 2014-09-03 $24.73 $23.21 30.3% 7.3% 19.4% 68.6% 25.9% 1.1% -1.7% 716.0M -25.66B -130.6M 0.54 7.88 N/A N/A 5,952,908 3,213,956 25,344,872 18,143,108 2014-09-04 $24.53 $23.21 29.2% 7.3% 19.7% 63.2% 25.5% 0.9% -1.4% 714.8M -23.78B -132.7M 0.52 8.79 N/A N/A 3,468,860 1,816,528 26,817,752 18,804,900 2014-09-05 $24.74 $23.21 28.5% 7.3% 19.7% 59.2% 25.7% 1.2% -1.3% 803.8M -25.92B -132.3M 0.68 8.67 N/A N/A 2,252,548 1,528,860 27,227,380 19,122,156 2014-09-08 $24.59 $23.21 28.8% 7.3% 19.9% 61.0% 25.7% 0.9% -1.2% 829.1M -25.51B -128.4M 0.52 7.30 N/A N/A 2,044,936 1,068,556 26,265,428 18,303,952 2014-09-09 $24.50 $23.21 26.2% 7.3% 19.6% 47.3% 25.4% 0.7% -1.1% 816.3M -24.51B -125.3M 0.47 8.40 N/A N/A 8,092,996 3,770,752 26,846,456 18,770,344 2014-09-10 $25.25 $23.21 23.8% 7.1% 22.1% 34.7% 24.9% 0.7% -0.8% 1.30B -32.77B -126.8M 0.51 7.85 N/A N/A 4,558,504 2,340,736 27,801,204 19,606,664 2014-09-11 $25.36 $23.21 23.8% 7.1% 21.8% 34.4% 25.1% 0.7% -0.5% 1.41B -34.59B -124.3M 0.40 7.47 N/A N/A 3,207,160 1,268,860 28,228,976 19,944,968 2014-09-12 $25.41 $23.21 24.1% 7.3% 21.8% 36.1% 25.6% 1.0% -0.7% 1.23B -35.57B -126.4M 0.45 6.90 N/A N/A 3,601,800 1,606,904 28,559,528 20,077,796 2014-09-15 $25.41 $23.21 23.4% 7.4% 21.8% 32.4% 25.9% 0.8% 2.9% 1.16B -33.43B -128.4M 0.48 6.82 N/A N/A 2,248,660 1,080,984 26,879,768 18,809,336 2014-09-16 $25.21 $23.21 23.2% 7.4% 21.7% 31.4% 26.1% 1.0% 3.5% 1.08B -31.33B -124.0M 0.53 7.08 N/A N/A 2,286,876 1,222,220 27,087,204 19,042,440 2014-09-17 $25.39 $23.21 21.8% 7.2% 21.3% 23.9% 25.6% 1.0% 5.7% 1.18B -33.56B -120.3M 0.57 7.54 N/A N/A 1,510,076 862,652 27,343,500 19,264,104 2014-09-18 $25.45 $23.21 21.1% 7.2% 21.3% 20.0% 25.3% 1.1% 4.5% 1.24B -33.41B -121.6M 0.56 6.92 N/A N/A 1,493,152 839,848 26,966,052 19,249,504 2014-09-19 $25.24 $23.21 22.7% 7.3% 21.5% 28.5% 25.4% 1.3% 3.2% 955.5M -31.04B -122.4M 0.63 8.57 N/A N/A 2,596,432 1,646,036 27,153,044 19,385,584 2014-09-22 $25.27 $23.39 23.2% 7.2% 21.4% 31.3% 25.1% 1.8% 2.5% 944.2M -29.99B -116.8M 0.62 7.91 N/A N/A 2,071,168 1,291,828 25,107,936 17,761,888 2014-09-23 $25.66 $23.57 22.4% 7.0% 22.1% 27.0% 24.7% 1.7% 2.8% 1.14B -33.97B -116.5M 0.61 6.93 N/A N/A 2,838,260 1,719,332 25,641,064 18,231,668 2014-09-24 $25.44 $23.57 23.0% 7.0% 22.2% 30.3% 24.6% 1.6% 3.0% 860.1M -30.63B -119.7M 0.70 6.84 N/A N/A 1,846,096 1,283,840 25,948,608 18,864,460 2014-09-25 $24.47 $23.57 28.0% 7.4% 25.7% 56.8% 25.9% 3.8% 2.2% 514.7M -20.18B -121.9M 0.73 7.76 N/A N/A 4,538,216 3,295,304 26,051,868 19,127,248 2014-09-26 $25.19 $23.57 24.4% 7.1% 28.0% 37.7% 25.0% 2.3% 2.7% 1.03B -28.45B -123.7M 0.61 7.51 N/A N/A 2,879,848 1,745,040 26,868,792 19,519,652 2014-09-29 $25.03 $23.57 27.5% 7.2% 28.0% 53.9% 25.7% 2.6% -0.2% 899.4M -27.59B -118.7M 0.73 8.20 N/A N/A 1,682,004 1,223,092 25,697,392 18,387,224 2014-09-30 $25.19 $23.57 27.2% 7.1% 28.0% 52.5% 24.8% 2.3% -0.5% 1.03B -29.47B -117.5M 0.52 6.27 N/A N/A 2,403,768 1,239,828 26,016,088 18,692,976
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